IDEAS home Printed from https://ideas.repec.org/p/dpc/wpaper/1510.html

Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure

Author

Listed:
  • Riadh Aloui

    (LAREQUAD & FSEGT, University of Tunis El Manar)

  • Mohamed Safouane Ben Aissa

    (LAREQUAD & FSEGT, University of Tunis El Manar)

  • Khuong Nguyen Duc

    (Professor of Finance, ISC Paris School of Management 22 Boulevard du Fort de Vaux, 75848 Paris cedex 17, France)

Abstract

The paper examines the extent of the current global crisis and the contagion e¤ects it induces by conducting an empirical investigation of the extreme ?nancial interde-pendences of some selected emerging markets with the US. Several copula functions that provide the necessary ?exibility to capture the dynamic patterns of fat tail as well as linear and nonlinear interdependences are used to model the degree of cross-market linkages. Using daily return data from Brazil, Russia, India, China (BRIC markets) and the US, our empirical results show strong evidence of time-varying dependence between each of the BRIC markets and the US markets, but the dependency is stronger for commodity-price dependent markets than for ?nished-product export-oriented markets. We also observe high levels of dependence persistence for all market pairs during both bullish and bearish markets.

Suggested Citation

  • Riadh Aloui & Mohamed Safouane Ben Aissa & Khuong Nguyen Duc, 2010. "Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure," Working Papers 89, Development and Policies Research Center (DEPOCEN), Vietnam.
    • Handle: RePEc:dpc:wpaper:1510
    as

    Download full text from publisher

    File URL: http://depocenwp.org/modules/download/index.php?id=89
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G01 - Financial Economics - - General - - - Financial Crises
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:dpc:wpaper:1510. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Doan Quang Hung (email available below). General contact details of provider: https://edirc.repec.org/data/depocvn.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.